有限理性下银行间拆借市场网络的风险传染

Risk Contagion of Interbank Lending Market Network under Bounded Rationality

银行间拆借市场网络是银行间风险传染的重要渠道,银行主体不同的借贷行为会导致不同的风险传染效果。本文分别针对银行主体在完全理性与有限理性下的借贷行为构建风险传染模型,对比分析网络结构,仿真模拟传染效果。研究结果表明:有限理性下银行间拆借市场网络密度更大,节点间距离更紧密,发生银行间风险传染概率更高;相比于完全理性,有限理性下的拆借交易显著提升了银行间风险传染的广度、深度和速度;系统重要性银行因其资产规模大、同业资产占比低、资本充足率高等特点而具有较强的风险抵御能力和传染能力。在传染的动态比较方面,近几年银行间拆借市场风险传染呈现“U型”趋势。

Interbank lending market network is an important channel of risk contagion between banks,and different lending behaviors of bank subjects will lead to different risk contagion effects.In this paper,risk contagion models are built for the lending behaviors of bank subjects under complete rationality and bounded rationality respectively,and the network structure is compared and analyzed to simulate the contagion effect.The results of research show that:under bounded rationality,the interbank lending market network density is larger,the distance between nodes is closer,and the probability of inter-bank risk contagion is higher;Compared with perfect rationality,interbank lending under bounded rationality significantly improves the breadth,depth and speed of inter-bank risk contagion;Systemically important banks have strong risk resistance and contagion ability because of their large asset scale,low ratio of inter-bank assets and high capital adequacy ratio.In terms of the dynamic comparison of contagion,the risk contagion in the inter-bank lending market shows a u-shaped trend in recent years.